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Enron Mail |
Dear Andreas,
Thanks for the very useful response and information on positions. I have handed over primary responsibility for metals VaR to Kirstee Hewitt (at least as far as London is concerned) and she will follow up on the points you kindly reported, although I am of course available to assist where necessary. Tanya will remain the point of contact for VaR modelling in Houston, and of course Kirstee and Tanya will work together on this to resolve these and further issues. I would be happy to help set up meetings for you in the London office when you visit next week, with Kirstee, myself and anyone else that you would like to meet with and we very much look forward to your visit - please let me know if you need any help with the arrangements. Regards, Anjam 0207 783 5383 ---------------------- Forwarded by Anjam Ahmad/LON/ECT on 27/07/2000 08:40 --------------------------- Enron Capital & Trade Resources Corp. From: Andreas.Barschkis@mgusa.com 27/07/2000 00:36 To: Anjam.Ahmad@enron.com, Kirstee.Hewitt@enron.com cc: Bjorn_Hagelmann@mgusa.com Subject: Re:VARMODEL_Live.XLS Anjam, thanks for your VAR Model. I would like to point out the following: 1) Position data: I noted that the outright (longs + Shorts) for copper include positions which we should not use, i.e. R. Wolff quantities. This positions are imputed into the system at their integrity (some legs/hedges are missing) This affects copper and Lead position for now. The issues should be have been sorted out by the end of this month, ie next week. So in Copper you have 25,487 mt to much and with Lead you have 13,579mt to much.(as of June 19) 2) Looking at copper position you calculate a VAR of -3,100,568 with a total outright of 63.765 mt. This seams too low. if I calculate 63765 x 1807 x3.99%=4.218 mil. US$. VAR (outright qty x price levelx risk factor, riskfactr as per Mercur). In my view we have been understating VaR in Mercur because we do not consider the spread position correctly (i.e. in detail). On a position like that I would expect a figure of around 6 mil US$. I guess the issue is in the volatility and in the holding period. 3) your correlation matrix for the commodities is not final i assume as many fields are blank. Lets talk tomorrow on the phone. Attached please find the Position summary for the last week #30 (since June 19) as requested by Kirstee. (See attached file: mgposw30.xls) Andreas Barschkis MG Metal & Commodity Corp. 520 Madison Avenue, 28th Floor New York, NY 10022 Tel: +1.212.715.5628 Cel: +1.917.679.8287 Fax: +1.212.715.5608 E-mail: andreas.barschkis@mgusa.com Anjam.Ahmad@e nron.com To: Andreas.Barschkis@mgusa.com cc: Kirstee.Hewitt@enron.com 07/26/2000 Subject: Zipped VARMODEL_Live.XLS 11:37 AM Hi Andreas, This is the semi-final spreadsheet - have only to include price curves for Gold and cocoa. Kirstee and I would welcome your comments. Regards, Anjam - mgposw30.xls
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